If you are looking to export the MassMailer email status values for leads/contacts or for the whole campaign etc you can create a custom report in Salesforce.

Please follow the below steps to create this report.

Click on the Report Tab then click on the 'New Report' button 

Search for MassMailer so you can find MassMailer Email Status with Lead/Contact reports. Select one of them and click on the 'Create' button.

Add required fields into Preview like Campaign Name, Lead First Name, Lead Email and Event etc then add "Filters" like Campaign Name or based on your requirement and make sure that Show filter should be "All MassMailer Email Status".

Now you can see that reports shows all the MassMailer email status events. 

You can export these results into a CSV file by clicking on the 'Export Details' button.